老师，这题的疑问是：
1、对应哪个题干发现有Because the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%)
2、正常考试遇到这种题目，怎么排雷？
Puhuyesva’s approach matches the interest rate sensitivity of the asset portfolio to that of the liabilities. If she has reasonably strong beliefs about how interest rates will change in the near future and the surplus exceeds her threshold of 10% of assets, she will adjust the interest rate sensitivity of the asset portfolio to attempt to increase the surplus. She typically uses derivatives positions to adjust the asset portfolio’s interest rate sensitivity, rather than buying and selling securities.
Puhuyesva believes interest rates will fall over the next three months and wants to position the asset portfolio accordingly. She intends to use futures contracts on the 10-year Treasury bond. The three-month contract has a par value of USD100,000 and a basis point value of USD102.30 per contract. Exhibit 1 provides current information about the asset and liability portfolios.
The most appropriate action given Puhuyesva’s views on interest rates and the information in Exhibit 1 would be to buy:
- 492 contracts.
- 614 contracts.
- 552 contracts.
B is correct. The number of futures contracts needed to fully remove the duration gap between the asset and liability portfolios is given by N
f
=BPV
L
−BPV
A
BPV
f
Nf=BPVL−BPVABPVf, where BPV is basis point value (of the liability portfolio, asset portfolio, and futures contract, respectively). In this case, N
f
=299,860−243,376
102.30
=+552.1
Nf=299,860−243,376102.30=+552.1, where the plus sign indicates a long position in or buying 552 futures contracts. Because the value of assets is more than 2% greater than the value of liabilities (217.3/206.8 – 1 = 5.1%) and Puhuyesva believes interest rates will fall, the duration of assets should be greater than the duration of liabilities so that the surplus will rise if interest rates do fall. Therefore, more than 552 contracts should be bought.
